1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2018 Klaus Spanderen
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file methodoflinesscheme.hpp
21     \brief Method of Lines  scheme
22 */
23 
24 #ifndef quantlib_method_of_lines_scheme_hpp
25 #define quantlib_method_of_lines_scheme_hpp
26 
27 #include <ql/methods/finitedifferences/operatortraits.hpp>
28 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
29 #include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
30 
31 namespace QuantLib {
32 
33     class MethodOfLinesScheme  {
34       public:
35         // typedefs
36         typedef OperatorTraits<FdmLinearOp> traits;
37         typedef traits::operator_type operator_type;
38         typedef traits::array_type array_type;
39         typedef traits::bc_set bc_set;
40         typedef traits::condition_type condition_type;
41 
42         // constructors
43         MethodOfLinesScheme(Real eps,
44                             Real relInitStepSize,
45                             const ext::shared_ptr<FdmLinearOpComposite>& map,
46                             const bc_set& bcSet = bc_set());
47 
48         void step(array_type& a, Time t);
49         void setStep(Time dt);
50 
51       protected:
52         //apply for QuantLib's Runge-Kutta implementation
53         Disposable<std::vector<Real> >
54             apply(Time, const std::vector<Real>&) const;
55 
56         Time dt_;
57         const Real eps_, relInitStepSize_;
58         const ext::shared_ptr<FdmLinearOpComposite> map_;
59         const BoundaryConditionSchemeHelper bcSet_;
60     };
61 }
62 
63 #endif
64